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reminder, this week's seminars
by Christopher Summer 11 Feb '02

11 Feb '02

Tu, 12.02.2002 -------------- Uli Haböck, arbitrage-free asset pricing with proportional transaction costs, a paper of zhang, xu and deng. Th, 14.02.2002 -------------- Our seminar on "Optima and Equilibria" continues. This time we will proceed with our discussion on Gerard Debreu's "Theory and Value". For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Samos 2002
by Christopher Summer 04 Feb '02

04 Feb '02

2nd CONFERENCE IN ACTUARIAL SCIENCE AND FINANCE IN SAMOS SEPTEMBER 20-22, 2002, GREECE The Department of Statistics & Actuarial Science of the University of the Aegean is pleased to host the 2nd Conference in Actuarial Science and Finance, to be held in Samos, on September 20-22, 2002. This event is jointly organized with the Katholieke Universiteit Leuven (Department of Applied Economics and Department of Mathematics) and the Université catholique de Louvain (Institute of Statistics and Actuarial research group), Belgium. The Conference allows the presentation of the latest works in the area of actuarial science and finance. It is open to all persons interested in actuarial science and finance, be they from universities, insurance companies, banks, consulting firms or regulatory authorities. The conference aims to facilitate the contact and the communication between the practicians and the researchers; a special session will be devoted to different aspects of actuarial practice. The main topics include · Life, pension and health insurance · Collective Risk Models, Dynamic Solvency Testing · Claims Distributions and Statistics · Nonlife insurance · Extreme Value Theory and Applications · Financial Risk Management A number of sessions will explore the different aspects of these areas. There will be 3 pre-conference short courses from September 16-19, 2002: · Extreme values with applications in insurance and finance, by Professor J. Teugels · Modelling dependence in actuarial science and finance, by Professor J. Dhaene · Building projected lifetables and managing the longevity risk, by Professor M. Denuit Postgraduate students and young researchers are specially welcome. For further information, please refer to http://www.stat.ucl.ac.be/Samos2002/ Oana PURCARU Institut de Statistique Université Catholique de Louvain Voie du Roman Pays, 20 B-1348, Louvain-la-Neuve BELGIQUE e-mail : purcaru(a)stat.ucl.ac.be tel: + 32 10/ 47 30 52 fax : + 32 10/ 47 30 32

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reminder, this week's seminars
by Christopher Summer 04 Feb '02

04 Feb '02

Tu, 05.02.2002 -------------- Franz Liebmann, Risikobereitschaft von Versicherungsunternehmen Th, 07.02.2002 -------------- Our seminar on "Optima and Equilibria" continues. This time we will discuss Gerard Debreu's "Theory and Value". For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Thursday Seminar
by Christopher Summer 01 Feb '02

01 Feb '02

Before we continue our discussion of Aubin's book, we will have a look at "Theory of Value" by Gerard Debreu. This will be done on the next two thursdays: 07.02.2002 ---------- Basic concepts like Commodities, Prices, Consumers, Equilibrium in the context of Debreu's book. 14.02.2002 ---------- Proof of the existence of an equilibirum in a private ownership economy. For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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Next week's seminars
by Christopher Summer 28 Jan '02

28 Jan '02

Mo, 28.01.2002, 10:00 --------------------- Patrick Cheridito, Introduction to fractional Brownian motion (Besprechungszimmer, 6th floor, green area) Tu, 29.01.2002, 16:30 --------------------- Patrick Cheridito, Fractional Ornstein-Uhlenbeck processes Th, 31.01.2002, 16:30 --------------------- We will start to discuss economic equilibria based on Debreu's "Theory of Value". -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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reminder, this week's seminars
by Christopher Summer 21 Jan '02

21 Jan '02

Tu, 22.01.2002 -------------- Hans Bühlmann, Über die Vorsicht des Aktuars und den Mut des Spielers. Attention: this talk takes place at FH HS 8. Th, 24.01.2002 -------------- Our seminar on "Optima and Equilibria" continues. This time we will do some of the problems. There will also be some discussion about the future content of the thursday seminar. For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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USC visiting position (fwd)
by Christopher Summer 20 Jan '02

20 Jan '02

---------- Forwarded message ---------- Date: Fri, 18 Jan 2002 10:46:51 -0800 (PST) From: Jaksa Cvitanic <cvitanic(a)math.usc.edu> Subject: USC visiting position Dear All: USC Department of Mathematics has an opening at the Visiting Assistant Professor level in the field of Financial Mathematics. This is a 1-3 years position, with a possibility of applying for a tenure-track position later on. It involves teaching 4 courses per year. Applications should be sent as soon as possible, directly to me, or to the address in the position advertisement, at http://math.usc.edu Sincerely, Jaksa Cvitanic Professor of Mathematics and Economics Department of Mathematics University of Southern California 1042 West Downey Way, DRB155, MC 1113 Los Angeles, CA 90089-1113 Tel: 1(213) 740- 3794 Fax: 1 (213) 740-2424 e-mail: cvitanic(a)math.usc.edu http://math.usc.edu/~cvitanic

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January 22-23 Cergy Conference Program (fwd)
by Christopher Summer 14 Jan '02

14 Jan '02

---------- Forwarded message ---------- Date: Fri, 11 Jan 2002 22:52:10 +0100 (MET) From: systemes aleatoires inhomogenes <inter(a)u-cergy.fr> To: wschach(a)fam.tuwien.ac.at Subject: January 22-23 Cergy Conference Program Dear Colleagues, Here is the program of the conference on ``INHOMOGENEOUS RANDOM SYSTEMS'' which will be held on Tuesday, January 22 and Wednesday, January 23, 2002 at the University of Cergy-Pontoise, in conjunction with the "Rencontres de Physique Statistique" in Paris (January 24-25). Thank you for registering if you haven't done so yet. Looking forward to meeting you in Neuville, Ellen Saada, Thierry Gobron, Francois Dunlop *You will find a TeX source file at the end of this message. It can be processed separately to get a properly typed poster of the conference program. --------------------------------------------------------------------------- Abstracts and maps are available at http://www.u-cergy.fr/rech/labo/equipes/ptm/inter/ Indications for access by train or car also at the end of this message. --------------------------------------------------------------------------- --------------------------------------------------------------------------- RANDOM INHOMOGENEOUS SYSTEMS Systemes Aleatoires Inhomogenes. January 22-23, 2002. Universite de Cergy-Pontoise , site de Neuville. Amphi A -``J Ficini'', Neuville III Conference Program: ------------------------------------------------------------------------------ Tuesday January 22: Spin Glasses. ------------------------------------------------------------------------------ Moderator: Flora KOUKIOU (Cergy-Pontoise). 9.30 - 10.00 Opening 9.45 - 10.00 Flora KOUKIOU (Cergy-Pontoise): Presentation 10.00 - 10.45 David SHERRINGTON (*) (Oxford): Title to be announced. Coffee break 11.15 - 12.00 Michel TALAGRAND (Paris): Gaussian averages, Bernoulli averages and Gibbs measures. 12.00 - 12.45 Pierluigi CONTUCCI (Bologna): A Classification theorem for stochastically stable quenched measures. Lunch 14.30 - 15.15 Francesco GUERRA (Roma): Quadratic replica coupling in the Sherrington-Kirkpatrick mean field spin glass model. 15.15 - 16.00 Anton BOVIER (Berlin): From statics to dynamics in simple spin glass models. Coffee break 16.30 - 17.15 Eric BERTIN (Saclay): Dynamical ultrametricity and localization in trap models. 17.15 - 18.00 Jorge KURCHAN (Paris): Replica versus dynamic methods in disordered systems. ------------------------------------------------------------------------------ Wednesday January 23: Random Matrices. ------------------------------------------------------------------------------ Moderator: Vincent RIVASSEAU (Orsay). 09.45 - 10.00 Vincent RIVASSEAU (Orsay): Introduction. 10.00 - 10.45 Martin ZIRNBAUER (Koln): Dual pairs in random matrix theory. Coffee break 11.15 - 12.00 Yan V. FYODOROV (Uxbridge): On statistics of characteristic polynomials of random Hermitian matrices. 12.00 - 12.45 Paul ZINN-JUSTIN (Orsay): Counting tangles via matrix models. Lunch 14.30 - 15.15: Margherita DISERTORI (Princeton): Density of states for random band matrices. 15.15 - 16.00 Bertrand DUPLANTIER (Saclay): Double conformal multifractality. Coffee break 16.30 - 17.15 Herbert SPOHN (Muenchen): Edge scaling for Dyson's Brownian motion and the PNG growth model. 17.15 - 18.00 Evgueni BOGOMOLNY (Orsay): Spectral statistics of singular billiards. ---------------------------------------------------------------------------- (*): To be confirmed. The program is susceptible of modifications; please check the conference web site for updated information. ---------------------------------------------------------------------------- Registration: The conference is free and open to all. To facilitate local organization, please register in advance through the conference web server at http://www.u-cergy.fr/rech/labo/equipes/ptm/inter or send an e-mail to "inter(a)u-cergy.fr" with the following information: Name: .............................. Email: ............ Institution: ....................... Phone: ............ Address: ........................... Fax: .............. *Please inform us if you plan to take lunch with us: *Lunch 22 January : 10 Euros YES/NO *Lunch 23 January : 10 Euros YES/NO (answer only if you have not do so yet) You may also send a fax or mail to: Ellen Saada, Laboratoire de Mathematiques Raphael Salem (UMR 6085), Universite de Rouen, site Colbert, 76821 Mont-Saint-Aignan cedex, France. Fax: (33)2 32 10 37 94. Hotel reservations and other practical informations are available on request. Francois Dunlop Thierry Gobron Ellen Saada Physique Theorique Physique Theorique Mathematiques et Modelisation et Modelisation Laboratoire Raphael Salem Universite Cergy-Pontoise Ecole Polytechnique Universite de Rouen (33)1 34 25 70 91 (33)1 34 25 70 90 (33)2 35 14 71 11 -------------------------------------------------------------------------- -------------------------------------------------------------------------- Access by train (From Paris): NEUVILLE-UNIVERSITE -------------------------------------------------------------------------- -------------------------------------------------------------------------- by trains RER-A: Gare de Lyon............ 8h36 8h56 9h13 9h34 (+ N*20mn) | | | | | Chatelet-les-halles..... 8h39 8h59 9h16 9h38 " | | | | | Auber................... 8h42 9h02 9h19 9h40 " | | | | | Ch-de-Gaulle-Etoile..... 8h46 9h06 9h22 9h43 " | | | | | NEUVILLE-UNIVERSITE..... 9h17 9h36 9h52 10h12 " by trains from Gare Saint-Lazare: Gare Saint-Lazare........8h45 9h08 .......................... 9h40 | | | | Houilles-Carrieres.......8h56 9h19 .......................... 9h51 ---------CHANGE PLATFORM----------------- Houilles-Carrieres.......8h59 9h18 (always late) or 9h34 .... 9h54 | | | | NEUVILLE-UNIVERSITE......9h17 9h36 .................9h52 ... 10h12 -------------------------------------------------------------------------- Ticket prices: Single 4.50 Euros, Carte Mobilis (=Day Pass 5 zones) 11.70 Euros, Carte hebdomadaire 5 zones (=week pass 5 zones) 26.65 Euros. Access by car: From Paris or from North: A15-RN184-Rue d'Eragny (direction Neuville) From South: RN184-RD203 (direction Cergy-Pontoise)-Rue d'Eragny The parking is at the end of Mail Gay-Lussac (dead end). ---------------------------------------------------------------------------- ---------------------------------------------------------------------------- ----------------------------------------------------------------------- TeX FILE ----------------------------------------------------------------------- \newbox\bigstrutbox \setbox\bigstrutbox=\hbox{\vrule height14.5pt depth6.5pt width0pt } \def\bigstrut{\relax\ifmmode\copy\bigstrutbox\else\unhcopy\bigstrutbox\fi} \magnification=\magstephalf \voffset=-0.5cm \hoffset=-0.7cm \hsize=17.5 true cm \font\large=cmr10 scaled 1280 \font\eightrm=cmr8 \font\sxlarge=cmsl10 scaled \magstep2 \vsize=26.5truecm \nopagenumbers \centerline{\bf {\large INHOMOGENEOUS RANDOM SYSTEMS\qquad}} \vskip .4truecm \centerline{\bf {\sxlarge Syst\`emes Al\'eatoires Inhomog\`enes\qquad}} \vskip .4truecm \centerline{\bf January 22-23, 2002} \centerline{ \quad Amphi A - ``Jacqueline Ficini''} \centerline{ Universit\'e de Cergy-Pontoise, Site de Neuville} \vskip 1.3truecm \centerline{ Tuesday 22 January: {\bf Spin Glasses.}} \centerline{ Moderator: {\bf Flora Koukiou.}} \vskip .8truecm \vrule{\offinterlineskip \halign{\hskip -0.1truecm \hfil{\eightrm #h}&{\eightrm #}& \hfil{\eightrm { }-- \ }\hfill {\eightrm #h}& {\eightrm # \hfil : $\,$} & # \hfil \cr \bigstrut 9&30&9&45&\qquad\qquad Opening \cr \strut 9&45&10&00&{\bf Flora Koukiou (Cergy-Pontoise)}:\ {\sl Presentation.}\cr \strut 10&00&10&45&{\bf David Sherrington$^{(*)}$ (Oxford)}:\ {\sl Title to be announced.}\cr \bigstrut 10&45&11&15&\qquad\qquad Coffee Break \cr \strut 11&15&12&00&{\bf Michel Talagrand (Paris)}:\ {\sl Gaussian averages, Bernoulli averages and}\cr \omit&\omit&\omit&\omit& \strut\phantom{\bf xxxxx}\ {\sl Gibbs measures.}\cr \strut 12&00&12&45&{\bf Pierluigi Contucci (Bologna)}:\ {\sl A Classification Theorem for stochastically}\cr \omit&\omit&\omit&\omit& \strut\phantom{\bf xxxxx}\ {\sl stable quenched measures.}\cr \bigstrut 12&45&14&30&\qquad\qquad Lunch \cr \strut 14&30&15&15&{\bf Francesco Guerra (Roma)}:\ {\sl Quadratic replica coupling in the}\cr \omit&\omit&\omit&\omit& \strut\phantom{\bf xxxxx}\ {\sl Sherrington-Kirkpatrick mean field spin glass model.}\cr \strut 15&15&16&00& {\bf Anton Bovier (Berlin)}:\ {\sl From statics to dynamics in simple spin glass models.}\cr \bigstrut 16&00&16&30&\qquad\qquad Coffee Break \cr \strut 16&30&17&15& {\bf Eric Bertin (Saclay)}:\ {\sl Dynamical ultrametricity and localization in trap models.}\cr \strut 17&15&18&00& {\bf Jorge Kurchan (Paris)}:\ {\sl Replica versus dynamic methods in disordered systems.}\cr }} \vskip 1.2truecm \centerline{ Wednesday 23 January: {\bf Random Matrices.}} \centerline{ Moderator: {\bf Vincent Rivasseau}.} \vskip .8truecm \vrule{\offinterlineskip \halign{\hskip -0.1truecm #& \hfil{\eightrm #h}&{\eightrm #}& \hfil{\eightrm { }-- \ }\hfill {\eightrm #h}& {\eightrm # \hfil : $\,$} & # \hfil \cr \strut&9&45&10&00& {\bf Vincent Rivasseau (Orsay)}:\ {\sl Introduction.}\cr \strut&10&00&10&45& {\bf Martin Zirnbauer (K\"oln)}:\ {\sl Dual pairs in random matrix theory. }\cr \bigstrut&10&45&11&15&\qquad\qquad Coffee Break \cr \strut&11&15&12&00& {\bf Yan V. Fyodorov (Uxbridge)}:\ {\sl On statistics of characteristic polynomials of}\cr \strut&\omit&\omit&\omit&\omit& \phantom{\bf xxxxx}\ {\sl random Hermitian matrices.}\cr \strut&12&00&12&45& {\bf Paul Zinn-Justin (Orsay)}:\ {\sl Counting tangles via matrix models.}\cr \bigstrut&12&45&14&30&\qquad\qquad Lunch \cr \strut&14&30&15&15& {\bf Margherita Disertori (Princeton)}:\ {\sl Density of states for random band matrices.}\cr \strut&15&15&16&00& {\bf Bertrand Duplantier (Saclay)}:\ {\sl Double conformal multifractality.}\cr \bigstrut&16&00&16&30&\qquad\qquad Coffee Break \cr \strut&16&30&17&15& {\bf Herbert Spohn (M\"unchen) }:\ {\sl Edge scaling for Dyson's Brownian motion and the}\cr \strut&\omit&\omit&\omit&\omit& \phantom{\bf xxxxx}\ {\sl PNG growth model.}\cr \strut&17&15&18&00& {\bf Evgueni Bogomolny (Orsay)}:\ {\sl Spectral statistics of singular billiards.}\cr }} \vskip 1.0truecm $*$: To be confirmed. \hfil\break The program is susceptible of modifications; please check the conference web site for updated information.\hfil\break \centerline {\bf http://www.u-cergy.fr/rech/labo/equipes/ptm/inter} \vfill\eject \bigskip\noindent {\bf Registration:}\hfil\break \smallskip The conference is free and open to all.\hfil\break To facilitate local organization, please register in advance through the conference web server at\hfill\break {\bf http://www.u-cergy.fr/rech/labo/equipes/ptm/inter}\hfill\break You may also send an e-mail with your name, affiliation and mail address to {\bf inter(a)u-cergy.fr}\hfill\break (let us know if you plan to have lunch with us on Tuesday and Wednesday (10 Euros each day));\hfill\break or mail to Ellen Saada, Laboratoire de Math\'ematiques Rapha\"el Salem, Universit\'e de Rouen, \hfill\break \phantom{or mail to }site Colbert, 76821 Mont-Saint-Aignan cedex, France. $\quad$ Fax: +33 2 3210 3794 \hfill\break \medskip \bigskip\noindent \halign{ \hfil # \hfil&\hskip.2truecm\hfil # \hfil&\hskip.2truecm \hfil # \hfil\cr Fran\c cois Dunlop & Thierry Gobron & Ellen Saada\cr Physique Th\'eorique et Mod\'elisation &Physique Th\'eorique et Mod\'elisation& Math\'ematiques, Rapha\"el Salem\cr Universit\'e de Cergy-Pontoise & Universit\'e de Cergy-Pontoise & Universit\'e de Rouen\cr (33)1 34 25 70 91 & (33)1 34 25 70 90 & (33)2 35 14 71 11 \cr} \smallskip\ \bye %%%%%-------------- END OF TeX FILE --------------------------%%%%%%%%%

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reminder, this week's seminars
by Christopher Summer 14 Jan '02

14 Jan '02

Tu, 15.01.2002 -------------- Michael Kirch, Preference Free Restrictions on Option Prices in Equilibrium Th, 17.01.2002 -------------- No seminar For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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this week's seminar
by Christopher Summer 07 Jan '02

07 Jan '02

Th, 10.01.2002 -------------- Our seminar on "Optima and Equilibria" continues with a talk by Johanna Gaier on "Marginal Properties of Solutions of Convex Minimisation Problems". For further details, including abstracts see http://www.fam.tuwien.ac.at/schedule/ -- |christopher summer ||tu vienna, financial and actuarial mathematics |tel +43 1 58801 10522 ||http://www.fam.tuwien.ac.at/~csummer |fax +43 1 58801 10599 ||csummer(a)fam.tuwien.ac.at

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